Bootstrapping Macroeconometric Models

No 1345, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach to evaluating estimators initiated by Efron (1979) and the stochastic simulation approach to evaluating models' properties initiated by Adelman and Adelman (1959). It also estimates for a particular model the gain in coverage accuracy from using bootstrap confidence intervals over asymptotic confidence intervals.

Keywords: Bootstrapping; stochastic simulation (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2001-12, Revised 2003-06
Note: CFP 1195.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 7, No. 4, Article 1

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d13/d1345.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Bootstrapping Macroeconometric Models (2007)
Journal Article: Bootstrapping Macroeconometric Models (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1345

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().